CML TradeMachine Trade Ideas

[NikTam]

1 hour ago, cwerner376 said:

SYMC 7-1 trade has turned around is now at the break even point from Wed.  Technicals look good for anyone who missed entry on Wed or is looking at adding to their position.  Please let me know if anyone sees anything different.

Keep in mind that on the 3-1 PE trades that the day of earnings drives the "day count".  If you look at the history by clicking on the results window you can see that these trades were made on Monday and exited on Tuesday -- bc SYMC announces on Wed.  See below for response from CML Support.  So the trade backtesting assumes a Monday entry and then a Tuesday exit.

 

NOW I SEE you are referencing a 7-1 PE trade.  My bad.  Still the clarification below is useful.

 

So, currently the system basically uses a "trading days" style calculation only if earnings is on Monday or Tuesday and if the 'days before' number is <= 5. Otherwise the system uses calendar days. These earnings events are on Wednesday. Since the trade can't open on a Saturday or Sunday, the first day that is <= 3 days before earnings is Monday. Then, Tuesday is the day before earnings, so, you are just seeing 1 trading day instead of 2. For this stock, you can simply increase the days before earnings if you want to force it to open on Friday.

 

That said, we do have plans in the works to create a true trading days calculations that always opens and closes the correct number of days before or after earnings, irrespective of day of week, and that is also "holiday aware". We're hoping to have that out within about 4 weeks.

 

Edited January 26, 2018 by NikTam

[Sirion]

GTC order on MSFT filled for 40% gain after commissions. Feels good to have a win with EA and BA still dragging after this week.

[greenspan76]

Closed MSFT 7-1 PE Call for 50.6% gain after commissions. In Feb2 93.5 Call for $1.47; Out $2.236 avg. I closed in stages throughout the day, but it still jumped up to the $2.50 range just before close, so that's the third time I've seen this in the last week or so.

Edited January 26, 2018 by greenspan76

[NikTam]

4 minutes ago, greenspan76 said:

Closed MSFT 7-1 PE Call for 50.6% gain after commissions. In Feb2 93.5 Call for $1.47; Out $2.236 avg. I closed in stages throughout the day, but it still jumped up to the $2.50 range just before close, so that's the third time I've seen this in the last week or so.

Also closed half of my MSFT call for 1 day 30% gain.  Also sold half my LLY calls for quick (1 hour) 25% gain.  Will stay with the balance of these positions into Monday or Tuesday.  These 2 helped me forget my SHW loss :-)

Edited January 26, 2018 by NikTam

[NikTam]

Also entered a 50 Delta Straddle 14-1 (Earnings BMO Feb 7) with CTSH http://tm.cmlviz.com/index.php?share_key=20180126210407_r04dxocpl4MVHZnt

Filled at 3.70 in the last minute of trading.

[krisbee]

 

 

[NikTam]

Closed MSFT PE 

On 1/26/2018 at 9:01 AM, NikTam said:

Entered MSFT PE 7-1 40 Delta Feb 2 94 call.  Filled at 1.75 and 1.80   This was right off the CML Discover Tab.

Just exited second half of this position at 2.70 for 50% net gain.

[NikTam]

On 1/27/2018 at 8:34 AM, krisbee said:

 

 

Also looking to enter AKAM -- today if I see opportunity.

http://tm.cmlviz.com/index.php?share_key=20180129144831_ZQcTtNQQv9HqjJJe

[krisbee]

1 minute ago, NikTam said:

Also looking to enter AKAM -- today if I see opportunity.

http://tm.cmlviz.com/index.php?share_key=20180129144831_ZQcTtNQQv9HqjJJe

[NikTam]

2 minutes ago, krisbee said:

Nice fill!  I just entered with half position at 2.20.

[NikTam]

Exited my other half of my LLY PE 7-1 at 63% profit late morning today.

[Mary]

Per CML Discover:

Entered MSFT PE 7-1, 40 Delta Feb 2 93.5 Call @1.57 on Jan 24, 3:19p

Exit @3.05 on Jan 29 3:50p

94% profit (Did not exit at the suggested limit gain of 40%, took the risk)

 

[cwerner376]

In analyzing my CML performance over the last 2 earning seasons...The 14 and 7 day pre earnings trades are far more successful than the 3 day trades.  Maybe its because I am still not executing them correctly.  But for now, no more 3 days for this trader.

[krisbee]

On 1/29/2018 at 10:01 AM, krisbee said:

SOLD for 3.1 just now. 54%

now selling price is 3.35

 

[akito]

29 minutes ago, krisbee said:

SOLD for 3.1 just now. 54%

now selling price is 3.35

Thanks for the heads up on this price pop! Was just about to head into a meeting.

 

Edit:

Got a chance to look at my numbers. Entered one at 2.3 debit and one at 2.44 debit and exited both at 3.3 credit. 39.2% gain. (I bought the feb16, 70 strike expiration to be more conservative)

Edited January 31, 2018 by akito

[akito]

NVDA 7-1 PE long call (link is old and does not include previous cycle in november, but looking at the price charts, it was a winner as well)

http://www.cmlviz.com/cmld3b/index.php?number=11768&app=news&cml_article_id=20171022_the-one-week-pre-earnings-momentum-trade-in-nvidia&source=TM_insights

 

Earnings confirmed for Feb8, AC, so entry would be tomorrow.

[Sirion]

15 minutes ago, akito said:

NVDA 7-1 PE long call (link is old and does not include previous cycle in november, but looking at the price charts, it was a winner as well)

http://www.cmlviz.com/cmld3b/index.php?number=11768&app=news&cml_article_id=20171022_the-one-week-pre-earnings-momentum-trade-in-nvidia&source=TM_insights

 

Earnings confirmed for Feb8, AC, so entry would be tomorrow.

I wonder if entry today would be viable, because a lot of QQQ stocks report today/tomorrow, and good earnings might drag up NVDA up with it. I suppose the reverse could be true. Hm.

[ykotowitz]

9 minutes ago, Sirion said:

I wonder if entry today would be viable, because a lot of QQQ stocks report today/tomorrow, and good earnings might drag up NVDA up with it. I suppose the reverse could be true. Hm.

The backtests for 8 to 1 is nowhere as good.

[NikTam]

I like this one.  NVDA PE 7-1 Feb 9 40 delta http://tm.cmlviz.com/index.php?share_key=20180201172109_mg3O9MzUldlB2MeR

Even with triggers set at 40% gain and 25% stop loss this looks good.  Buy today.

 

Just filled at half at 6.80 and other half at 6.60.  I'm ok with this but should have waited a bit.

Edited February 1, 2018 by NikTam

[siddharth]

What do ppl think about teva. The entry was supposed to be today but it is already up 4% 

[NikTam]

6 minutes ago, siddharth310584 said:

What do ppl think about teva. The entry was supposed to be today but it is already up 4% 

Looks interesting -- it's a straddle.  Maybe look at it at end of the day for a pullback?

It's close to filling the gap created on Tuesday.  So that could mean more upside.

Edited February 1, 2018 by NikTam

[greenspan76]

11 minutes ago, NikTam said:

I like this one.  NVDA PE 7-1 Feb 9 40 delta http://tm.cmlviz.com/index.php?share_key=20180201172109_mg3O9MzUldlB2MeR

Even with triggers set at 40% gain and 25% stop loss this looks good.  Buy today.

 

7 minutes ago, siddharth310584 said:

What do ppl think about teva. The entry was supposed to be today but it is already up 4% 

Planning to enter both of these later today (TEVA PE 7-1 Feb16 50delta Straddle)

Edited February 1, 2018 by greenspan76

[NikTam]

2 minutes ago, greenspan76 said:

 

Planning to enter both of these later today (TEVA PE 7-1 Straddle Feb16 50 delta)

@greenspan76  are you thinking ATM at 21?  The Feb 9 calls have very high IV (86%) and .50 price intervals.   But so does Feb 16 (72%).

[greenspan76]

1 minute ago, NikTam said:

@greenspan76  are you thinking ATM at 21?  The Feb 9 calls have very high IV (86%) and .50 price intervals.   But so does Feb 16 (72%).

Depends on where it trades toward end of day. If it is within $0.15 of a strike, I'll do that straddle. If not, I'll probably do a strangle. Right now, that'd be a 21/21.5 strangle

[Djtux]

8 minutes ago, greenspan76 said:

Planning to enter both of these later today (TEVA PE 7-1 Feb16 50delta Straddle)

That's interesting. That might be roughly equivalent to enter T-5 business days before earning date and exiting T-0 (trading day just before the announcement).

[NikTam]

http://tm.cmlviz.com/index.php?share_key=20180201174333_AbgMZJmlioRQTDSt

Look at the 20/20 "straddle" -- this is a strangle, right?

@greenspan76 how do you decide btw a straddle and a strangle?

Edited February 1, 2018 by NikTam

[greenspan76]

1 minute ago, NikTam said:

http://tm.cmlviz.com/index.php?share_key=20180201174333_AbgMZJmlioRQTDSt

Look at the 20/20 "straddle" -- this is a strangle, right?

Yes. I'll probably still do it as close to 50 delta as possible, but that is pretty interesting.

[siddharth]

Can you post this when you make the trade. I’m curious about them strangle vs straddle. 

[Antoxa]

TEVA Straddle is pretty expensive nowadays.

 

[Antoxa]

Also is you check last ER trade (the one with also expensive Straddle) in CML, it is not profitable.

It is gamma you rely on if you enter this trade in current conditions, I believe.

[NikTam]

3 minutes ago, Antoxa said:

TEVA Straddle is pretty expensive nowadays.

 

Very interesting.  So last year (11-1) straddle was priced at 9% of stock price.  Which is right now is 21.32 which gives a straddle price of 1.91.  But the average is closer to 5.5% which is closer to 1.17 based on today's price.  Yes, the current price seems very high.  But does IV figure in to this?  Is it higher now than it was in these previous iterations? 

[Antoxa]

2 minutes ago, NikTam said:

Very interesting.  So last year (11-1) straddle was priced at 9% of stock price.  Which is right now is 21.32 which gives a straddle price of 1.91.  But the average is closer to 5.5% which is closer to 1.17 based on today's price.  Yes, the current price seems very high.  But does IV figure in to this?  Is it higher now than it was in these previous iterations? 

As far as I understand RV represents IV in a way it can be compared with previous cycles.

Straddle price = IV. If you normalize it to stock price you get RV.

[NikTam]

1 minute ago, Antoxa said:

As far as I understand RV represents IV in a way it can be compared with previous cycles.

Straddle price = IV. If you normalize it to stock price you get RV.

This is what I don't understand but would really like to.  How is RV calculated and what does it encompass?  Is the RV result (as a %) simply the calculation of option price divided by price of stock -- or is there more to it?

[Antoxa]

5 minutes ago, NikTam said:

This is what I don't understand but would really like to.  How is RV calculated and what does it encompass?  Is the RV result (as a %) simply the calculation of option price divided by price of stock -- or is there more to it?

It is price of straddle divided by underlying's price.

 

At the moment TEVA is 21.5

It's 21.5 Straddle is 2.20

RV is 2.20 / 21.5 = 0.102 (10.2%)

 

This means that market implies 10.2% move by the expiration (Feb9)

Edited February 1, 2018 by Antoxa

[NikTam]

For what it's worth:  Here's non-earnings bull squeeze play on TEVA.  It would be entering today.  And it is currently breaking higher.

http://tm.cmlviz.com/index.php?share_key=20180201182018_OZHW9on5g3dsQhJ8

[mustafaoe]

42 minutes ago, Djtux said:

That's interesting. That might be roughly equivalent to enter T-5 business days before earning date and exiting T-0 (trading day just before the announcement).

@Djtux How can I get this chart from https://www.volatilityhq.com

[NikTam]

7 minutes ago, Antoxa said:

It is price of straddle divided by underlying's price.

 

At the moment TEVA is 21.5

It's 21.5 Straddle is 2.20

RV is 2.20 / 21.5 = 0.102 (10.2%)

 

This means that market implies 10.2% move by the expiration (Feb9)

So do we then compare that 10.2% implied move with previous results?

[NikTam]

45 minutes ago, Djtux said:

That's interesting. That might be roughly equivalent to enter T-5 business days before earning date and exiting T-0 (trading day just before the announcement).

This is a very interesting chart.  Is it as simple as it appears -- so the T-5 result is a median return of 32% gain?  So buying the ATM straddle 5 days before earnings and exiting the day of earnings (assuming earnings are after market close) yields this median result?

[Antoxa]

1 minute ago, NikTam said:

So do we then compare that 10.2% implied move with previous results?

Yep.

Recent 3 ERs were as follows:

Implied/Actual

5.3% / 2.0%

5.3% / 24%

9.1% / 19.9%

As you can see last two actual moves were huge. So we can expect IV of current cycle to be elevated as well. It will probably stay around 9-10%.

[NikTam]

48 minutes ago, Djtux said:

That's interesting. That might be roughly equivalent to enter T-5 business days before earning date and exiting T-0 (trading day just before the announcement).

But how is this "roughly equivalent"?  We're talking about entering at T-7....

[NikTam]

1 minute ago, Antoxa said:

Yep.

Recent 3 ERs were as follows:

Implied/Actual

5.3% / 2.0%

5.3% / 24%

9.1% / 19.9%

As you can see last two actual moves were huge. So we can expect IV of current cycle to be elevated as well. It will probably stay around 9-10%.

So if we're already at 10.2% implied move, that would appear to not allow much room for gain.  This is what I don't get.

[Antoxa]

4 minutes ago, NikTam said:

So if we're already at 10.2% implied move, that would appear to not allow much room for gain.  This is what I don't get.

You never expect Straddle to grow in price as expiration approaches. The idea here is to not lose too much while you get gains from gamma.

So if you can manage to get in for 10% you minimize your chances for downside, it will not drop much lower (if IV stays around 10% at ER), but you give yourself a chance to get gain from IV spike or stock moving (gamma).

Around 10% gain is pretty solid expected gain from trade like this.

Edited February 1, 2018 by Antoxa

[Maji]

I have a small buy order for the Feb 16 ATM straddle for 2.20, which is at 10% approximately. The mid is around 2.50, so I am not sure if I will be filled. The mean of the one day max move is around 8%, so the 10% is already an overpriced proposition in my mind. Does not look that great in terms of value from the chart attached below.

 

 

Edited February 1, 2018 by Maji

[akito]

7 minutes ago, Maji said:

I have a small buy order for the Feb 16 ATM straddle for 2.20, which is at 10% approximately. The mid is around 2.50, so I am not sure if I will be filled. The mean of the one day max move is around 8%, so the 10% is already an overpriced proposition in my mind. Does not look that great in terms of value from the chart attached below.

Just a heads up, I don't think you are comparing apples to apples in your post. The RV chart is for the closest expiration to ER, which would be feb9 while you are looking at the feb16 expiration. Naturally, the later expiration will be more expensive. The feb9 21.5 straddle is already at 2.18, so if you want a price of around 2.2, you can already have it.

[Antoxa]

It would make sense to enter around 2.10-2.15 for Feb9 I believe, which is 9.8-10% RV (assuming stock price is around 21.5).

[Yowster]

Regarding TEVA straddle - note that this is a very high IV stock, and as such gamma gains will grow pretty slowly as the stock price moves.   If you enter this trade, keep a close eye on RV level because any drop in RV could easily wipe out any gamma gains. 

[Djtux]

42 minutes ago, mustafaoe said:

@Djtux How can I get this chart from https://www.volatilityhq.com

I'm still working on that feature so it's hidden (sorry for teasing you), but you could see that chart at https://www.volatilityhq.com/backtester/return_matrix/?symbol=TEVA&start_date=2017-02-01&strategy_type=Straddle&submit=Run+backtest

There is no link in the menu to access it at this moment as i'm still working on that and there might be bugs left.

37 minutes ago, NikTam said:

This is a very interesting chart.  Is it as simple as it appears -- so the T-5 result is a median return of 32% gain?  So buying the ATM straddle 5 days before earnings and exiting the day of earnings (assuming earnings are after market close) yields this median result?

T-5 means 5 trading days before earnings. I'm not sure yet what is the best way to aggregate the return : median ? total return using 1 contract ? total return using the same dollar amount allocation ?

36 minutes ago, NikTam said:

But how is this "roughly equivalent"?  We're talking about entering at T-7....

CML uses T-7 in calendar days whereas T-5 for me means 5 trading days, so it should be in general the same as there are 2 weekend days between 7 calendar days.

I believe using trading day is more consistent as if you say T-3 calendar days, what happens if you end up in a weekend ?

[mustafaoe]

2 minutes ago, Djtux said:

I'm still working on that feature so it's hidden (sorry for teasing you), but you could see that chart at https://www.volatilityhq.com/backtester/return_matrix/?symbol=TEVA&start_date=2017-02-01&strategy_type=Straddle&submit=Run+backtest

There is no link in the menu to access it at this moment as i'm still working on that and there might be bugs left.

T-5 means 5 trading days before earnings. I'm not sure yet what is the best way to aggregate the return : median ? total return using 1 contract ? total return using the same dollar amount allocation ?

CML uses T-7 in calendar days whereas T-5 for me means 5 trading days, so it should be in general the same as there are 2 weekend days between 7 calendar days.

I believe using trading day is more consistent as if you say T-3 calendar days, what happens if you end up in a weekend ?

This looks very good. I am looking for the official version. Thx for this feature.

On 1/17/2018 at 10:09 PM, NikTam said:

I'm not feeling it for these tickers.  Not compelling back test results.  And wide spreads and low volume.

 

[Antoxa]

7 minutes ago, Yowster said:

Regarding TEVA straddle - note that this is a very high IV stock, and as such gamma gains will grow pretty slowly as the stock price moves.   If you enter this trade, keep a close eye on RV level because any drop in RV could easily wipe out any gamma gains. 

@Yowster, is it possible to calculate what would be a gain per $1 of move?

[Maji]

10 minutes ago, Antoxa said:

It would make sense to enter around 2.10-2.15 for Feb9 I believe, which is 9.8-10% RV (assuming stock price is around 21.5).

that is true... I was looking at the Feb 16 straddle.